Quadratic-Variation-Based Dynamic Strategies

DOI10.1287/MNSC.41.4.722MaRDI QIDQ4859340zbMATH OpenOpenAlexFDO

Authors Avi Bick

Publication date 7 January 1996

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.4.722

zbMATH Keywords

European-style optionsIto's lemmaportfolio insurancequadratic variationtrading strategies

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(19)

• First passage time of a Markov chain that converges to Bessel process
• Hedging variance options on continuous semimartingales
• Performance of a Markovian neural network versus dynamic programming on a fishing control problem
• Towards a theory of volatility trading
• Bessel processes, stochastic volatility, and timer options
• Closed-form approximation of perpetual timer option prices
• For what trading strategies is the tax payment stream of infinite variation?
• The illusions of dynamic replication
• Dynamic volatility trading strategies in the currency option market
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Volatility targeting using delayed diffusions
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
• Implied and realized volatility: empirical model selection
• Long-run equity risk and dynamic trading strategies: a simulation exercise for the Italian stock market
• Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate
• Pricing perpetual timer option under the stochastic volatility model of Hull-White
• Optimal Execution with Quadratic Variation Inventories
• Optimal quota for a multi-species fishing model

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